I've seen this from time to time and very confusing it is too! Its obviously a Registry glitch.
Usually solved in the short term by right-clicking in an open space on the desktop and left-clicking refresh.
Long-term it seems to go away by itself and as its such a minor problem I've never bothered to go deeply into it.
What version of Windows? With 2K/XP there are two or more sets of Desktop Shortcuts and Applications. Those of the "Adminstrator", "All Users" and named users. It might be of interest to see which set or sets of Icons are corrupted. But only out of interest; I don't think there is anything to be done about it.